This is a very simplistic implementation of a function that would be very useful if fully implemented. Unfortunately it doesn't take into account the myriad of language-specific exceptions to title case. In English, typically you don't "upper case" the first letter of words like "of" and "and". You don't lower case the 2nd/3rd letters of some Celtic surnames (eg. McCall or O'Toole). Sometimes you don't lowercase the first letter after a hyphen (eg. Guinea-Bissau). I'm sure there's more, it's a bit mind-blowing when you get into it!

Like any TSQL function that iterates through strings, this will run fine on small sets or a single field, but if you're going to use this in large set queries, you might want to consider writing it as a CLR assembly: C# or VB.Net are faster at string parsing.